Pages that link to "Item:Q2435218"
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The following pages link to Stochastic volatility models with possible extremal clustering (Q2435218):
Displaying 15 items.
- A stochastic volatility model with flexible extremal dependence structure (Q282541) (← links)
- Clustered Lévy processes and their financial applications (Q515759) (← links)
- Understanding the determinants of volatility clustering in terms of stationary Markovian processes (Q1619870) (← links)
- Some properties of stochastic volatility model that are induced by its volatility sequence (Q1731258) (← links)
- Large portfolio losses in a turbulent market (Q2030632) (← links)
- Phase transition for extremes of a stochastic model with long-range dependence and multiplicative noise (Q2059684) (← links)
- Asymptotic behavior of eigenvalues of variance-covariance matrix of a high-dimensional heavy-tailed Lévy process (Q2065473) (← links)
- Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes (Q2103984) (← links)
- Statistical inference for heavy tailed series with extremal independence (Q2303022) (← links)
- The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails (Q2325386) (← links)
- Heavy tailed time series with extremal independence (Q2352978) (← links)
- A Fourier analysis of extreme events (Q2448713) (← links)
- Continuous invertibility and stable QML estimation of the EGARCH(1,1) model (Q2868871) (← links)
- MONTE CARLO SIMULATION OF VOLATILITY CLUSTERING IN MARKET MODEL WITH HERDING (Q3523515) (← links)
- Almost sure limit theorems for the maxima of stochastic volatility models (Q5086638) (← links)
